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Effects of Volatility of Exports in the Philippines and Thailand

  • Dipendra Sinha

There have been numerous studies on the relationship between volatility of exports and economic growth. Most of these studies have used cross-section data. Recently, some studies have used time series data to study the relationship. However, there have been no studies which have used the Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) methodology to study export volatility. This paper fills the void and uses quarterly data for the Philippines and Thailand to study the effects of export volatility. We find that for both countries, the shock to volatility of growth of exports is permanent. Also, past volatility is significant in predicting future volatility.

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Article provided by IUP Publications in its journal The IUP Journal of Financial Economics.

Volume (Year): V (2007)
Issue (Month): 3 (September)
Pages: 78-83

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Handle: RePEc:icf:icfjfe:v:05:y:2007:i:3:p:78-83
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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  3. Sinha, D., 1999. "Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis," Papers 799, Yale - Economic Growth Center.
  4. Gyimah-Brempong, Kwabena, 1991. "Export Instability and Economic Growth in Sub-Saharan Africa," Economic Development and Cultural Change, University of Chicago Press, vol. 39(4), pages 815-28, July.
  5. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
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